XLP Options History — August 2022

In August 2022, XLP traded between $73.36 and $77.20. ATM implied volatility averaged 15.4%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.0% (HV 20d: 11.4%). Max pain ranged from $72.00 to $75.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 3.96.

Notable Days

  • 2022-08-16: Highest Volume — 41,190 contracts
  • 2022-08-22: Largest IV spike — 16.5% change
  • 2022-08-30: Highest IV Rank — 63.5%
  • 2022-08-30: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.39$73.36$77.20$75.35$73.36
Max Pain$74.65$72.00$75.00$72.00$75.00
ATM IV15.4%13.5%19.1%15.8%17.3%
Expected Move4.4%3.8%5.6%4.3%5.0%
HV 20d11.4%10.4%13.4%10.7%13.2%
HV 60d17.3%14.1%21.2%21.2%14.7%
IV Rank39.1%25.7%63.5%41.2%51.9%
IV Percentile52.7%32.9%77.8%58.7%66.3%
Term Structure0.1%-0.8%0.8%-0.2%0.2%
VWIV17.0%13.8%19.1%16.9%16.8%
Skew 25d4.2%3.1%6.1%4.0%4.7%
Skew 10d8.3%4.8%14.4%7.8%8.7%
Call IV 25d13.7%11.8%16.5%14.3%15.7%
Put IV 25d17.9%15.1%22.6%18.3%20.4%
Bid-Ask Spread %37.143.8293.8546.9334.93
Gamma HHI0.140.120.180.140.18
Net GEX-36.6M-78.7M4.1M-29.3M-78.7M
Net DEX-68.7M-405.8M336.6M-90.1M336.6M
Net VEX-3.1M-3.5M-2.6M-3.3M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.961.0718.231.632.89
Total Volume21,467.3044,64741,19038,48933,206
Total OI491,971.652425,060549,585483,017446,104

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$75.35$72.0015.8%4.3%10.7%41.2%16.9%4.0%-0.2%-29.3M-90.1M-3.3M1.6346.9314,64823,841129,516353,501
2022-08-02$74.98$72.5016.4%4.6%10.5%45.5%17.6%4.4%-0.1%-39.4M-19.7M-3.4M2.2431.457,91917,714132,790363,923
2022-08-03$75.40$72.5015.3%4.1%10.4%38.4%16.2%4.1%-0.0%-30.3M-108.9M-3.2M2.147.079,96921,306134,241378,411
2022-08-04$74.77$75.0015.4%4.5%10.9%38.8%17.9%3.7%-0.1%-44.1M948.1K-3.5M1.963.827,67515,015136,883381,641
2022-08-05$74.60$75.0015.1%4.3%11.0%36.7%15.2%3.7%0.0%-49.9M45.9M-3.5M1.1839.408,4499,959137,266382,841
2022-08-08$74.53$75.0015.8%4.4%10.8%41.3%16.8%4.0%-0.3%-46.9M23.1M-3.3M1.325.057,2269,541136,382373,157
2022-08-09$74.49$75.0015.4%4.6%10.7%38.6%16.0%4.1%0.8%-50.6M25.9M-3.3M1.4451.302,2853,294136,713376,190
2022-08-10$75.06$75.0014.1%4.1%10.9%30.4%18.8%3.2%0.2%-37.1M-82.4M-3.1M18.2350.731,96435,803138,081378,647
2022-08-11$74.74$75.0014.7%4.2%11.1%33.8%17.6%3.1%-0.1%-40.4M-52.9M-3.1M12.0548.553,14037,851138,283381,417
2022-08-12$75.48$75.0013.9%4.1%11.5%29.0%14.9%3.5%0.7%-22.4M-154.3M-3.0M2.5948.463,99210,355138,518374,686
2022-08-15$76.27$75.0014.3%4.1%11.1%31.2%16.6%3.9%0.1%-9.2M-260.1M-2.9M2.5836.287,33018,876137,358373,907
2022-08-16$77.15$75.0013.9%4.0%11.1%28.7%16.8%3.8%0.5%4.1M-405.8M-2.6M8.327.824,42136,769139,523384,226
2022-08-17$76.96$75.0013.8%3.9%10.8%27.7%18.8%4.3%0.4%-2.0M-399.4M-2.6M9.8293.851,31212,890140,311401,130
2022-08-18$77.20$75.0013.5%3.8%10.7%25.7%13.8%3.4%0.6%-4.5M-387.9M-2.8M1.3658.131,9712,676140,515407,700
2022-08-19$76.92$75.0014.1%4.0%11.0%30.0%18.3%3.6%0.7%-17.9M-372.1M-2.7M8.2818.702,71422,472140,928408,657
2022-08-22$76.06$75.0016.4%4.6%12.0%45.5%18.5%4.7%-0.1%-37.5M-52.2M-3.1M1.2637.836,3518,012112,552312,508
2022-08-23$75.81$75.0015.8%4.3%12.1%41.2%16.2%4.7%-0.2%-37.7M-43.0M-3.0M2.7342.084,64312,676117,382315,032
2022-08-24$75.99$75.0015.4%4.2%11.8%38.9%16.1%4.5%-0.0%-40.0M-58.8M-3.0M1.9554.733,4006,625119,570323,991
2022-08-25$76.26$75.0014.9%4.0%10.8%35.6%16.4%4.0%-0.4%-36.1M-116.9M-3.0M2.015.793,3016,647120,986328,842
2022-08-26$74.58$75.0017.3%4.8%13.3%51.7%16.9%4.6%-0.2%-63.5M154.3M-3.2M1.0746.467,5828,127122,079329,191
2022-08-29$74.49$75.0017.5%5.0%12.7%53.2%18.6%5.8%-0.3%-57.7M130.3M-3.0M2.4950.725,39613,459122,211323,969
2022-08-30$73.53$75.0019.1%5.6%13.4%63.5%19.1%6.1%-0.8%-70.1M307.0M-3.1M1.4834.144,4186,528123,630319,959
2022-08-31$73.36$75.0017.3%5.0%13.2%51.9%16.8%4.7%0.2%-78.7M336.6M-3.0M2.8934.938,54624,660123,677322,427